Mean-VaR Portfolio: An Empirical Analysis of Price Forecasting of the Shanghai and Shenzhen Stock Markets.
Ximei LiuZahid LatifDaoqi XiongSehrish Khan SaddozaiKaif Ul WaraPublished in: J. Inf. Process. Syst. (2019)
Keyphrases
- stock market
- var model
- stock index futures
- short term
- stock exchange
- portfolio optimization
- long term
- stock index
- transaction costs
- stock price
- trading rules
- financial time series
- investment strategies
- stock data
- financial data
- stock trading
- financial markets
- electricity markets
- portfolio management
- decision making
- financial news
- stock returns
- trading strategies
- garch model
- impulse response
- decision support system
- robust optimization